Price Level Targeting in a Small Open Economy with Financial Frictions: Welfare Analysis Staff Working Paper 2008-40 Ali Dib, Caterina Mendicino, Yahong Zhang How important are the benefits of low price-level uncertainty? This paper explores the desirability of price-level path targeting in an estimated DSGE model fit to Canadian data. The policy implications are based on social welfare evaluations. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial stability, Inflation and prices, Monetary policy framework JEL Code(s): E, E3, E31, E32, E5, E52
Mandatory Retention Rules and Bank Risk Staff Working Paper 2023-3 Yuteng Cheng This paper studies, theoretically and empirically, the unintended consequences of mandatory retention rules in securitization. It proposes a novel model showing that while retention strengthens monitoring, it may also encourage banks to shift risk. Content Type(s): Staff research, Staff working papers Research Topic(s): Credit risk management, Financial institutions, Financial system regulation and policies JEL Code(s): G, G2, G21, G28
To Share or Not to Share? Uncovered Losses in a Derivatives Clearinghouse Staff Working Paper 2016-4 Radoslav Raykov This paper studies how the allocation of residual losses affects trading and welfare in a central counterparty. I compare loss sharing under two loss-allocation mechanisms – variation margin haircutting and cash calls – and study the privately and socially optimal degree of loss sharing. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Payment clearing and settlement systems JEL Code(s): G, G1, G19, G2, G21
Demographic Origins of the Decline in Labor’s Share Staff Working Paper 2023-20 Andrew Glover, Jacob Short Declining labour market dynamism of workers results in an increasing wedge between their earnings and their marginal product as they age. This wedge and the demographic shift in the earnings shares of older workers can account for 59% of the decline in labor’s share of earnings in the United States. Content Type(s): Staff research, Staff working papers Research Topic(s): Labour markets, Productivity JEL Code(s): D, D3, D33, E, E2, E25, J, J1, J3, J6, J62
Should Central Banks Worry About Nonlinearities of their Large-Scale Macroeconomic Models? Staff Working Paper 2017-21 Vadym Lepetyuk, Lilia Maliar, Serguei Maliar How wrong could policymakers be when using linearized solutions to their macroeconomic models instead of nonlinear global solutions? Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Economic models JEL Code(s): C, C6, C61, C63, C68, E, E3, E31, E5, E52
The Impact of Emerging Asia on Commodity Prices Staff Working Paper 2007-55 Sylvie Morin, Calista Cheung Over the past 5 years, real energy and non-energy commodity prices have trended sharply higher. These relative price movements have had important implications for inflation and economic activity in both Canada and the rest of the world. China has accounted for the bulk of incremental demand for oil and many base metals over this period. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, International topics JEL Code(s): E, E3, F, F4, O, O1, O19, Q, Q1, Q11
Fiscal Stimulus and Skill Accumulation over the Life Cycle Staff Working Paper 2023-9 Laure Simon Using micro data from the U.S. Consumer Expenditure Survey and Current Population Survey, I document that government spending shocks affect individuals differently over the life cycle. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Fiscal policy, Productivity JEL Code(s): D, D1, D12, D15, E, E2, E21, E6, E62, J, J1, J11, J2, J24
Monetary Policy and Redistribution in Open Economies Staff Working Paper 2022-6 Xing Guo, Pablo Ottonello, Diego Perez We study how different types of monetary policy shape the distributional effects of external economic shocks on households’ consumption in a small open economy. Our results present a trade-off between maintaining overall stabilization and controlling consumption inequality. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rate regimes, Monetary policy JEL Code(s): E, E3, E32, E5, E52, F, F4, F41, F44
Partial Identification of Heteroskedastic Structural Vector Autoregressions: Theory and Bayesian Inference Staff Working Paper 2025-14 Helmut Lütkepohl, Fei Shang, Luis Uzeda, Tomasz Woźniak We consider structural vector autoregressions that are identified through stochastic volatility. Our analysis focuses on whether a particular structural shock can be identified through heteroskedasticity without imposing any sign or exclusion restrictions. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Fiscal policy JEL Code(s): C, C1, C11, C12, C3, C32, E, E6, E62
Linking Real Activity and Financial Markets: The Bonds, Equity, and Money (BEAM) Model Staff Working Paper 2006-42 Céline Gauthier, Fuchun Li The authors estimate a small monthly macroeconometric model (BEAM, for bonds, equity, and money) of the Canadian economy built around three cointegrating relationships linking financial and real variables over the 1975–2002 period. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Financial stability JEL Code(s): C, C5, E, E4